18 - May - 2020

FXVOL Premium Trade Ideas

Trade Unwind

Spot Ref 1.0900

We sell @ 6.0 Vol

1.0900 EUR call Expiry 2020-01-06

And 1.0740 EUR put same expiry

Total Premium 39.6 tics

Gain on Trade 101 tics on Delta Hedge + Sale of Option 139.6 tics

Gain Gross in % on Capital = 140.6/46.4 = 303% return

Second Delta Hedge Order Filled

22 May 01:23 AM PST

We bought back the full hedge at 1.0900 and rolled to 03 June at 1.09002

We will re-instate the original orders at 1.10 & 1.0600

Delta Hedge Order Filled

May 20th 07:23 AM PST

We sold the full hedge at 1.1000 and rolled it forward to 03 June at 1.10025

New Delta Hedge Order

Leave an order to buy back the full hedge at 1.0900 good to Expiry

Two-Week EURUSD Strangles

Trade Date 18 May Time 09:07 AM Singapore

Trade Idea: Buy Two Week EUR Strangles

Spot Ref 1.0818

Expriy Date 2020-06-01 NY cut

Strikes 1.0900 EUR Call

1.0740 EUR Put

Total Prem 46.4 EUR tics

Vol ref 6.40

Delta Hedge : 1.10 Full Hedge & 1.0600 for 50% of the hedge only

James Rider

Research Director